Geodesic
Estimation for heavy tailed moving average process
Kybernetika, Tome 54 (2018) no. 2, pp. 351-362

Voir la notice de l'article provenant de la source Czech Digital Mathematics Library

In this paper, we propose two estimators for a heavy tailed MA(1) process. The first is a semi parametric estimator designed for MA(1) driven by positive-value stable variables innovations. We study its asymptotic normality and finite sample performance. We compare the behavior of this estimator in which we use the Hill estimator for the extreme index and the estimator in which we use the t-Hill in order to examine its robustness. The second estimator is for MA(1) driven by stable variables innovations using the relationship between the extremal index and the moving average parameter. We analyze their performance through a simulation study.
DOI : 10.14736/kyb-2018-2-0351
Classification : 60G70, 62G32
Keywords: extreme value theory; mixing processes; tail index estimation 
@article{10_14736_kyb_2018_2_0351,
     author = {Ouadjed, Hakim and Mami, Tawfiq Fawzi},
     title = {Estimation for heavy tailed moving average process},
     journal = {Kybernetika},
     pages = {351--362},
     publisher = {mathdoc},
     volume = {54},
     number = {2},
     year = {2018},
     doi = {10.14736/kyb-2018-2-0351},
     mrnumber = {3807720},
     zbl = {06890425},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-2-0351/}
}
TY  - JOUR
AU  - Ouadjed, Hakim
AU  - Mami, Tawfiq Fawzi
TI  - Estimation for heavy tailed moving average process
JO  - Kybernetika
PY  - 2018
SP  - 351
EP  - 362
VL  - 54
IS  - 2
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-2-0351/
DO  - 10.14736/kyb-2018-2-0351
LA  - en
ID  - 10_14736_kyb_2018_2_0351
ER  - 
%0 Journal Article
%A Ouadjed, Hakim
%A Mami, Tawfiq Fawzi
%T Estimation for heavy tailed moving average process
%J Kybernetika
%D 2018
%P 351-362
%V 54
%N 2
%I mathdoc
%U http://geodesic.mathdoc.fr/articles/10.14736/kyb-2018-2-0351/
%R 10.14736/kyb-2018-2-0351
%G en
%F 10_14736_kyb_2018_2_0351
Ouadjed, Hakim; Mami, Tawfiq Fawzi. Estimation for heavy tailed moving average process. Kybernetika, Tome 54 (2018) no. 2, pp. 351-362. doi: 10.14736/kyb-2018-2-0351

Cité par Sources :